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Article Dans Une Revue New Generation Computing Année : 2017

An asynchronous double auction market to study the formation of financial bubbles and crashes

Résumé

Stock market is a complex system composed from heterogeneous traderswith highly non-linear interactions from which emerge a phenomenon of specula-tive bubble. To understand the role of heterogeneous behaviors of traders andinteractions between them in the emergence of bubbles, we propose an agent-basedmodel of double auction market, with asynchronous time management, where tra-ders act asynchronously and take different times to make decisions. The market is populated by heterogeneous traders. In addition to fundamentalist, noise, and technical (chartist) traders, we propose a hybrid trader, which can switch between technical (chartist) and fundamentalist strategies integrating panicking behavior. We find that when market is populated by a majority of hybrid traders, we observequite realistic bubble formation characterized by a boom phase when hybrid tradersswitch to technical behavior, followed by a relatively shorter burst phase whenhybrid traders return to fundamentalist strategy and change to panicked state. The aim is to design agents which act asynchronously, with simple behaviors, but complex enough to produce realistic price dynamics, which provide a basis fordeveloping agents with sophisticated decision-making processes.
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Dates et versions

hal-02538633 , version 1 (09-04-2020)

Identifiants

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Sadek Benhammada, Frédéric Amblard, Salim Chikhi. An asynchronous double auction market to study the formation of financial bubbles and crashes. New Generation Computing, 2017, 35 (2), pp.129-156. ⟨10.1007/s00354-017-0010-6⟩. ⟨hal-02538633⟩
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